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MRCI's ScenarioSM Study
ScenarioSM Study for October Lean Hogs(CME) as of Nov 14, 2002
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 30 31 32 33 33 33 33 33 33 33 34
Closed Higher 19 18 22 13 20 21 16 14 18 17 22
Exceeded High 15 15 17 11 16 15 14 10 16 14 15
Scenario Percentage 79% 83% 77% 85% 80% 71% 88% 71% 89% 82% 68%
Avg Max Increase 6.39% 7.36% 8.99% 10.30% 7.88% 8.85% 11.48% 14.71% 8.99% 9.36% 5.50%
Max Increase 13.88% 22.10% 30.19% 23.22% 18.19% 25.89% 44.70% 33.79% 32.64% 21.46% 13.06%
Avg Days To Max Increase 18 12 22 17 19 18 19 20 16 10 9
Avg Max Decline -2.66% -1.05% -2.72% -1.51% -2.16% -1.50% -3.15% -2.63% -4.21% -1.90% -0.81%
Max Decline -9.45% -5.79% -6.89% -5.74% -9.70% -6.61% -14.68% -5.53% -13.13% -10.53% -2.74%
Avg Days to Max Decline 12 5 13 4 9 4 10 11 10 3 3
2002 Contract Condition Yes   Yes           Yes   Yes
Action No   Yes           No   Yes
Copyright © 2001 Moore Research Center, Inc. All Rights Reserved.
Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 30 31 32 33 33 33 33 33 33 33 34
Closed Lower 11 13 10 19 13 12 17 19 14 16 12
Penetrated Low 8 10 7 13 9 11 16 15 10 11 11
Scenario Percentage 73% 77% 70% 68% 69% 92% 94% 79% 71% 69% 92%
Avg Max Decline 4.75% 4.27% 4.26% 10.19% 12.59% 9.73% 10.11% 12.03% 9.28% 6.83% 10.23%
Max Decline 11.67% 10.52% 7.31% 27.61% 34.99% 34.01% 27.95% 24.81% 16.61% 22.06% 21.72%
Avg Days To Max Decline 14 18 18 15 20 20 15 23 18 9 12
Avg Max Increase -1.73% -2.53% -2.56% -1.67% -1.73% -3.46% -2.69% -2.92% -3.40% -0.80% -2.71%
Max Increase -9.88% -5.98% -7.02% -7.23% -4.50% -10.33% -8.28% -13.02% -9.42% -6.01% -7.17%
Avg Days to Max Increase 3 16 14 6 10 21 10 12 9 6 5
2002 Contract Condition   Yes   Yes Yes Yes Yes Yes   Yes  
Action   Yes   Yes Yes Yes Yes Yes   Yes  
High 53.850 53.100 52.900 53.650 52.350 48.000 44.100 40.500 43.850 41.200 41.075
Low 53.000 52.150 52.000 51.000 47.400 42.000 37.600 36.850 39.600 29.775 29.400
Close/Last 53.700 52.175 52.825 52.225 47.800 43.050 39.600 38.800 41.700 30.875 40.200